A Lundberg-type inequality for an inhomogeneous renewal risk model

Autor:	Andrulytė, Ieva Marija, Bernackaitė, Emilija, Kievinaitė, Dominyka, Šiaulys, Jonas
Rok vydání:	2015
Předmět:	Mathematics - Probability
Zdroj:	Modern Stochastics: Theory and Applications 2015, Vol. 2, No. 2, 173-184
Druh dokumentu:	Working Paper
DOI:	10.15559/15-VMSTA30
Popis:	We obtain a Lundberg-type inequality in the case of an inhomogeneous renewal risk model. We consider the model with independent, but not necessarily identically distributed, claim sizes and the interoccurrence times. In order to prove the main theorem, we first formulate and prove an auxiliary lemma on large values of a sum of random variables asymptotically drifted in the negative direction. Comment: Published at http://dx.doi.org/10.15559/15-VMSTA30 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1508.02853 Zobrazit plný text záznamu View this record from Arxiv